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stat.CO2026
High-dimensional Adaptive MCMC with Reduced Computational Complexity
Max Hird, Samuel Livingstone
We propose an adaptive MCMC method that learns a linear preconditioner which is dense in its off-diagonal elements but sparse in its parametrisation. Due to this sparsity, we achie…
stat.CO2020
A fresh take on 'Barker dynamics' for MCMC
Max Hird, Samuel Livingstone, Giacomo Zanella
We study a recently introduced gradient-based Markov chain Monte Carlo method based on 'Barker dynamics'. We provide a full derivation of the method from first principles, placing…